[R-SIG-Finance] Statistical analysis

[Ron Michael]

Thanks Ralph for your input. This is great. However I need something from traders' point of views. What a trader might want to see?

Thanks and regards,
 
----- Original Message -----
From: Ralph Vince <rvince99 at gmail.com>
To: Ron Michael <ron_michael70 at yahoo.com>
Cc: "r-sig-finance at r-project.org" <r-sig-finance at r-project.org>
Sent: Sunday, 23 December 2012 12:52 AM
Subject: Re: [R-SIG-Finance] Statistical analysis

Percentage of time at equity highs, within 1% of equity highs, 5%, 10%, 20%.

On Sat, Dec 22, 2012 at 1:49 PM, Ron Michael <ron_michael70 at yahoo.com> wrote:
> Hi all, I employed in a company which actively trades on various stocks, currency etc. Assuming those entire trading activities as a single portfolio, this portfolio's components are fixed (i.e. the constituent assets) however there are daily buy, sell happen on those assets.
>
> I was asked to provide Statistical insight on this portfolio, over last month.
>
> Can friends here give me some suggestions what should I put on such analysis? I am really looking for some bang therefore just do not want to create some mere time series of this portfolio's returns and VaR estimates!
>
> Thanks for your inputs.
>
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